Yes, you need to create a data source. After all, this is what ODBC is all about. There are several ways to set up a datasource (system, user, file etc.) and some of them might be easier than others.
Why do you want to use ODBC, against the
official recommendation, instead of the MySQL native driver? It should be pretty easy to switch to ConnectorJ, if you're lucky, you need to change just the connection URL.
(You should also note that
ODBC support will be removed from Java 8.)